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Esther🏵🎠🗝招财🐱 · 2023年04月25日

statement1是指技术分析吗?

NO.PZ2019012201000072

问题如下:

Leeter makes the following statements about quantitative strategies:

1 Manager experience and discretion in identifying new trends in the market are important components of any quantitative strategy.

2 Loss aversion bias is more prominent with quantitative strategies than with fundamental strategies.

3 Generally, quantitative methods rely on information coefficients between firm returns and model factors.

Which of Leeter’s statements concerning the quantitative approach to active management is most accurate?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

Leeter’s third statement is most accurate. Generally, quantitative methods use past data to identify systematic factors that can be overweighted or underweighted in a portfolio based on an information coefficient.

A is incorrect. Leeter’s first statement is not accurate. Manager discretion has a minimal role in quantitative approaches.

B is incorrect. Leeter’s second statement is not accurate. Loss aversion is more symptomatic of fundamental approaches rather than quantitative approaches.

老师,请问S1不对,是不是它实质上描述的是技术分析,既不属于量化也不属于基本面?

1 个答案
已采纳答案

笛子_品职助教 · 2023年04月25日

嗨,爱思考的PZer你好:


老师,请问S1不对,是不是它实质上描述的是技术分析,既不属于量化也不属于基本面?

经理在识别市场新趋势方面的经验和判断力是任何量化战略的重要组成部分。这个既不是量化分析,也不是基本面分析。

有点类似主观 + 量化的方法。

这个方法CFA里没有这么讲。


正确的说法是,量化战略中,应最大程度的减少经理在识别市场趋势方面的主观观点。

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